Blender doesn't ask 'Do you really want to quit', when I press file -> new
Unfortunately, you can't do this. Notice that Blender uses an operating system specific dialogue box instead of the normal Blender UI. This appears to be more of an operating system thing than a Blender, but it obviously doesn't work with the Blender controls. 

You can see that if you do File > Quit, Blender will open a dialogue box that asks if you want to quit (it is the same whether the file is saved or not). 



This is not a "smart" dialogue. The same applies to the "new file" button. Blender opens a dialogue box, but it is not an OS level "smart" dialogue box.